There are different kinds of tragic protagonists, and different people react differently to works of literature, and so it is likely an overstatement to say than readers "always" feel frustration with a tragic protagonist.
That being said, in the context of The Great Gatsby, whose tragic protagonist is Jay Gatsby, it is common to feel some frustration with him. Like Nick, we tend to admire Gatsby for his audacity in dreaming big and going after what he wants. We may, however, feel some frustration that the object of his desire is as flimsy and shallow a character as Daisy.
Moreover, we can feel frustration with Gatsby's fatal flaw, as we often do the fatal flaws of tragic protagonists. Gatsby's flaw is that he simply can't accept the reality that it is impossible to set back the clock of time and start all over: it is impossible to rewrite the past and make everything okay. However, that is exactly what Gatsby tries to do. He wants to start over and erase the five years that he and Daisy have been separated. But they can't be erased. Daisy has a child and is attached to Tom.
Tragically, even with all the evidence to the contrary staring him in the face, Gatsby clings too long to the conviction that Daisy will come back to him. This waiting makes him a sitting duck for Wilson as Gatsby floats around in his own pool. Readers can feel some frustration that Gatsby waited too long to give up on Daisy or that he wasn't able to talk to Wilson and explain to him that Tom was having an affair with Wilson's wife.
Because we identify with tragic protagonists, we tend to feel frustration at their downfalls. We wish events could have unfolded differently.